Connie, you may want to post this question on the Lily forum, as lots of people are starting them from seed over there. Most of them speak of putting sown seed in the fridg for a few weeks before bringing them out into the warmth, which leads me to believe they can be wintersown. I'm trying lilies from seed for my first time this year too, but I'm going the fridg route because some I only had a very few seed of and I want to monitor them closely. Anyhow, there are lots of friendly lily enthusiasts who will happily share their insight with you.
Thanks to folks, particularly Pard, in the lilium forum, I have done a variety of lilium seed starting. One of the key things is making sure your seed is viable, otherwise nothing will happen.
Here's a link for types of lily seeds and what they require, for example, germination for an oriental will require a cold period. I've just used my fridge ;0) http://www.lilyseeds.com/growing.html http://davesgarden.com/forums/t/671136/
Lilium (Lilies) can be tricky -- it's best to know what kind you have before you sow. (Broad categories like Oriental, Asiatic, Trumpet or species and which one). Each lily seedpod has about 170-200 seeds, but there has to be a live embryo in the seed, so if you see seed in a trade for orienpets, it's probably not viable because orienpets at this point in time are mostly 3N and sterile triploids. On a good cross, though, you actually could have 170 viable seeds, it all depends. If the seed has not been candled, it's definitely not all good, though. Candling is holding the seeds over a light source -- in the olden days they would have used candles-- and checking for the embryo. It's a tedious job, and not one that many people even know has to be done.
Once you have figured out the kind of seed and viability, you will know if it's a 2-step germination hypogeal or a one step germination epigeal process. The 2-step germinators, which are the Martagons and the Orientals, need to be treated just like peonies if you are familiar with that process. Put the seed in a ziploc bag with barely moist vermilulite, perlite or peat or a combination and leave on a shelf in the dining room (out of the way, but at room temperature) for 3 months. If you do it right after harvest, that will get you to between Halloween & Christmas. You should see a bunch of roots. Then stick the bag in the refrigerator for 3 months. Cover and water and keep an eye on them in the refrigerator. It usually takes 3 months for the cold period before you see any leaves, but you could have some early arrivals.
Then bring out and wait for them to germinate in the bag. Some people pick out each plant as it germinates, but you can also dump the vermiculite with the baby (as in teeny tiny nearly microscopic)bulbs right on the top of some seed starting soil and pot them up.
If it is epigeal, then it's just a normal seed...be careful because these plants will croak if they get their leaves frosted, all lilies will, so you'll want to sow them in April after last frost. I think the temperature of the soil has to be warm enough for them to come up without rotting first. Personally, I would never wintersow the genus lilium because they absolutely cannot have their leaves frosted, and yet they don't have the good sense to stay underground until they are a year old. Trumpets and martagons are the worst, Orientals you could probably get away with.